As a gambler it's important to know how to control your emotions and discipline yourself, not just in the aspect of gambling but in every other area of life. Emotional instability caused by depression can lead to a whole lot of regretful actions. Gambling when you are having mixed emotions can cloud your judgment and also affect the decisions you make, at that point you wouldn't mind if you are losing and you can keep going till you have nothing left all under the excuse of chasing your losses. I have had some experiences where I decided to gamble when I was emotionally down and I regretted my actions. Some cases are actually a psychological issue where gamblers knowingly try to make themselves sad by ruining their financial life consciously, this is rare but it happens. Don't engage in gambling when you are depressed, if you are looking for a distraction try to do something productive instead.
A depressed person has no business with gambling, the only outcome of gambling when depressed is having more early death to your name because you are going to lose more amount than anything you have experience before. You will not think straight because you are under influence of depression, your decision will be decided by your emotions and when you lose, you will like even become more sick and tired of every thing you have been doing.
I have some rules that make sound funny, whenever I'm hungry I don't think straight and I don't do anything that will require critical thinking. It's better I remain the way I'm until I'm full. People think when I say this it's unnecessary and I'm been dramatic but it has save me from making decisions that will hurt me later. This is why I can't gamble when I'm not in good state, the hunger management has been a forever lesson for me.